sector rotation
Sector mean reversion on TSX large caps from 2000 to 2025: 8.86% CAGR in CAD vs 5.26% for the TSX Composite, a +3.61% annual edge. Energy is the most-selected sector at 29% of quarters. Four years supply almost all of the excess, and the max drawdown is -48.55%.
global stocks
D/E reduction + ROE > 8% tested on 13 exchanges from 2000-2025. 10 of 13 beat local benchmarks: Sweden +4.41% vs OMX, UK +3.93% vs FTSE, India +3.85% vs Sensex. The US only matches SPY (-0.22%). The edge lives where information moves slowly.
value investing
We backtested a P/B < 1.5 + ROE > 8% screen on Stockholm-listed stocks from 2000 to 2025. 13.55% CAGR, Sharpe ratio of 0.524, and a down capture of only 44.29% vs the OMX Stockholm 30. Best risk-adjusted result of 17 exchanges we tested. Returns in SEK.
equity growth
We backtested the Compounding Equity Screen on NSE stocks from 2000 to 2025. 5.15% CAGR vs 12.06% for the Sensex. The strategy underperforms the local benchmark by 6.90% annually, with 8 of 25 years in cash missing India's strongest bull market.
P/E compression
P/E compression on Chinese stocks returns 1.07% a year against 3.54% for the SSE Composite. Fully invested for all 25 years, so this failure isn't a data artifact. Negative Sharpe, -70% max drawdown, 94% down-capture.
sector rotation
Sector mean reversion on XETRA large caps from 2000 to 2025: 2.58% CAGR vs the DAX's 5.19%. The strategy fires every quarter and still loses by -2.61% annually, at the same volatility and a deeper drawdown. Germany is the only market in the study that fails locally.
backtests
The yield gap strategy on TSX stocks returned 9.57% CAGR vs 4.44% for the TSX Composite (+5.13% excess) over 25 years. The strategy beat the local index in 68% of years, and outperformed SPY by +1.93% annually.
etf
We backtested a portfolio of the 30 least ETF-owned quality stocks on US markets over 20 years. Result: 4.56% CAGR vs 10.61% for SPY. Under-owned stocks don't outperform. Here's why.
etf
We backtested a portfolio of the 30 least ETF-owned quality stocks on US markets over 20 years. Result: 6.56% CAGR vs 10.61% for SPY. Avoiding passive-owned stocks doesn't help. Here's why.
etf
We backtested a portfolio of quality stocks held by fewer than 10 ETFs over 20 years. Result: 0.90% CAGR vs 10.61% for SPY. The ETF orphan thesis fails. Quality stocks outside ETFs are underowned for a reason.
S&P 500
We measured the price impact of 537 S&P 500 additions from 2000 to 2025. Additions underperform the market by 0.86% at T+5 (t = -3.63). The classic academic finding has reversed.
S&P 500
We measured cumulative abnormal returns for 196 S&P 500 removals from 2000 to 2025. The overall mean at T+63 is +8.6%, but five extreme events drive the entire result. In the 2020s, removals continue declining. The classic recovery pattern is dead.